Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0793
Annualized Std Dev 0.2686
Annualized Sharpe (Rf=0%) 0.2954

Row

Daily Return Statistics

Close
Observations 5057.0000
NAs 1.0000
Minimum -0.0904
Quartile 1 -0.0082
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0095
Maximum 0.0987
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0169
Skewness -0.0971
Kurtosis 2.7602

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0114
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.6285
Historical VaR (95%) -0.0273
Historical ES (95%) -0.0393
Modified VaR (95%) -0.0269
Modified ES (95%) -0.0410
From Trough To Depth Length To Trough Recovery
2001-06-06 2002-07-10 2011-04-28 -0.6285 2489 272 2217
2015-07-21 2016-06-27 2020-05-11 -0.3932 1211 237 974
2001-02-13 2001-04-03 2001-05-22 -0.3469 69 35 34
2011-07-11 2011-08-08 2012-01-10 -0.2266 128 21 107
2014-02-26 2014-04-14 2014-08-26 -0.2118 127 34 93

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA -1.8 1.8 0.8 2 1.4 0 -1.1 0.2 1.2 0.7 -3.3 1.7
2002 0.8 0.5 1 -0.8 -2.9 -9 -4 -2.6 4.1 1.6 -0.4 -0.3 -11.9
2003 0.1 0.6 0.5 1.7 2.7 -0.1 -2.5 0.5 1.2 0.3 2.7 -1.4 6.3
2004 -0.7 1.2 1.4 -3.3 0.7 -0.9 0.7 1.7 1.9 -0.2 1.8 -0.5 3.7
2005 0.4 0.3 -0.9 0.7 0.4 -0.1 1.4 0.7 0.7 -1.3 0.6 -0.3 2.7
2006 2 1.1 0.4 -1.3 2 1.1 -0.8 0.8 -0.1 -1.6 -0.4 -0.6 2.5
2007 1.2 -1.8 1 0.5 0.3 -0.7 -0.5 0.8 1.2 -1.5 0.3 -1 -0.2
2008 2.2 -1.3 3.3 2.3 0.2 1.7 -0.3 -0.8 -0.8 2 -6.8 1.8 3.2
2009 -0.4 -3.9 -2.1 -1.4 0.7 -0.6 -0.9 -1.1 -3.1 -1.2 1.5 -0.6 -12.5
2010 0.6 2.4 1 -0.7 -1.9 -1.9 1.7 2.9 0 -0.5 1.2 -0.6 4.1
2011 0.7 -0.7 0.7 -1.4 -2 1 -1.5 -1.5 -0.8 -2.1 0.2 0.4 -6.8
2012 2.2 1.2 0.4 -0.4 -3 2.7 -1.9 0.8 0.7 1.7 -0.8 1.7 5.2
2013 1.5 1.2 -0.2 -0.7 -2 2.5 1.4 -1 2 0.4 0.4 0.1 5.5
2014 -1.6 -2.8 2.2 1 -0.6 2.4 -0.2 0.9 -1.5 0 -1.1 -0.4 -2
2015 -0.4 -1 -1 3.1 -0.1 0.3 1 -2.5 0.5 -0.9 0.5 -0.7 -1.3
2016 0.6 4.4 2.9 -2.7 0.5 2.1 1.6 0.2 1.3 0.9 -1.7 -0.6 9.6
2017 0.8 1.2 0 0.6 1.8 -0.7 -1 0.7 0.9 -0.6 0.4 -0.9 3.2
2018 -0.1 -1 0.7 0.4 1.3 1.7 0.6 0.1 -0.6 3.8 1.5 1.7 10.6
2019 0.5 2.1 0.1 -0.8 -1.8 0.6 0.7 -0.7 -1.5 2.3 0.2 0.3 2
2020 -1.5 0.4 -3.7 -2.5 -0.5 0.5 -1.9 -1.9 0.9 -1.8 0.2 -0.6 -11.8
2021 1.3 1.7 1.7 NA NA NA NA NA NA NA NA NA 4.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-02-09  33.7 SPY    132. -0.00960  -0.022   -0.0022  -0.0621  -0.0687       NA       NA <NA>     NA    NA       NA
2 2001-02-12  34.5 SPY    133.  0.0115   -0.018    0.0083  -0.0477  -0.0385       NA       NA <NA>     NA    NA       NA
3 2001-02-13  33.5 SPY    132. -0.0082   -0.0231   0.002   -0.0319  -0.0519       NA       NA <NA>     NA    NA       NA
4 2001-02-14  32.9 SPY    132. -0.0015   -0.0195  -0.0059  -0.0258  -0.064        NA       NA <NA>     NA    NA       NA
5 2001-02-15  33.2 SPY    133.  0.0097    0.0017  -0.0008  -0.0416  -0.0407       NA       NA <NA>     NA    NA       NA
6 2001-02-16  32.2 SPY    130. -0.022    -0.0109  -0.0325  -0.0657  -0.057        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart